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Unbiased QML estimation of log-GARCH models in the presence of zero returns

Sucarrat, Genaro; Escribano, Álvaro - 2013

Persistent link: https://www.econbiz.de/10010476962

Estimation of log-GARCH models in the presence of zero returns

Sucarrat, Genaro; Escribano, Álvaro - In: The European journal of finance 24 (2018) 10/12, pp. 809-827

Persistent link: https://www.econbiz.de/10012244412

Exchange rate volatility and the mixture of distribution hypothesis

Bauwens, Luc (contributor); Rime, Dagfinn (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003292873

Exchange rate volatility and the mixture of distribution hypothesis

Bauwens, Luc (contributor); Rime, Dagfinn (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003155180

Exchange rate volatility and the mixture of distribution hypothesis

Bauwens, Luc; Rime, Dagfinn; Sucarrat, Genaro - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 889-911

Persistent link: https://www.econbiz.de/10003233824

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Volatility estimation when the zero-process is nonstationary

Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10013540630

Nonlinear error correction : the case of money demand in the United Kingdom (1878-2000)

Escribano, Álvaro - In: Macroeconomic dynamics 8 (2004) 1, pp. 76-116

Persistent link: https://www.econbiz.de/10001930635

Improved Testing and Specification of Smooth Transition Regression Models

Escribano, Álvaro; Jorda, Oscar - 1998

This paper extends previous work in Escribano and Jorda (1997) and introduces new LM specification procedures to choose between Logistic and Exponential Smooth Transition Regression (STR) Models. These procedures are simpler, consistent and more powerful than those previously available in the...

Persistent link: https://www.econbiz.de/10014075643

Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market

Escribano, Álvaro; Torrado, María - 2017

Persistent link: https://www.econbiz.de/10011800161